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Inference for Nonparametric High-Frequency Estimators with an Application to Time Variation in Betas
Kalnina, I. (2022, March 29). JOURNAL OF BUSINESS & ECONOMIC STATISTICS.
2017 journal article
Nonparametric Estimation of the Leverage Effect: A Trade-Off Between Robustness and Efficiency
Journal of the American Statistical Association, 112(517), 384–396.
2011 journal article
Subsampling high frequency data
Journal of Econometrics, 161(2), 262–283.
2008 journal article
Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error
Journal of Econometrics, 147(1), 47–59.